Comment #11 on issue 2276 by [email protected]: integrate() should use the ode module's undetermined coefficients solver when possible
http://code.google.com/p/sympy/issues/detail?id=2276

This should also look for multiple integrals, like integrate(x*cos(x), x, x, x), and do them efficiently by solving the third order ODE. It also should not be splitting up terms across Adds, (though actually, none of integrate() should do this, so if it's non-trivial to do that, this can be done later).

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